Affine Diffusions with Non-Canonical State Space

DOI10.1080/07362994.2012.684322zbMath1260.60112arXiv1004.0429OpenAlexW2021478576MaRDI QIDQ2905356

Enno Veerman, Peter Spreij

Publication date: 27 August 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.0429

zbMATH Keywords

affine diffusionstochastic invariancepolyhedral state spacequadratic state space

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (13)

Affine realizations with affine state processes for stochastic partial differential equations ⋮ Affine processes on symmetric cones ⋮ Affine Diffusions with Non-Canonical State Space ⋮ Polynomial diffusions and applications in finance ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ Geometric ergodicity of affine processes on cones ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Infinite dimensional affine processes ⋮ Polynomial diffusions on compact quadric sets ⋮ Affine processes with compact state space ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Viability of an open set for stochastic control systems ⋮ Affine Volterra processes

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